Chart: One and Two Percent Moves

1. Prev. Close-to-Open: c2o – overnight events
2. Close-to-Close: c2c – fundamental
3. Open-to-Close: o2c – sentiment
4. High-to-Low: h2l – uncertainty

NIFTY 50

One percent:

Two percent:

BANK NIFTY

One percent:

Two percent:

A lot of traders close out their positions by the end of the day. It certainly reduces the risk embedded in overnight moves (c2o) but that has been falling over the years. So has the o2c range. Perhaps it is an artifact of the bull market and reversion to the 2011-2013 range is imminent. Something to keep an eye on.

Code and charts on github.

Related: Is the Low Volatility Regime Breaking?